Hi Bill,
Have you considered using SSMS 21 instead? The connection/sign-in has been updated and for me it allows me to use Microsoft account to create firewall rule. It doesn't redirect to web browser for the authentication prompt (unlike older SSMS versions).
I've experienced the same thing as you describe when using SSMS 20, so for that I just use Entra ID account when I need to sign in to create firewall rule.
Please click Accept Answer and upvote if the above was helpful.
Thanks.
-TP